I am recording full order book tick data for quite a few big exchanges. every message like every new order coming in or cancelled, or any execution.
Thats a hell lot of data, Im storing it on the cloud also with our proprietary timestamp (ie at the time we really get the information).
I think this data could be very valuable for anyone interested in backtesting HFT algos or doing any kind of data analysis.
It took quite a lot of time to make it run but i believe now its is recording smoothly, there are less and less incidents and data loss. last week we managed to record 99% of the data of the exchanges we’re looking at.
1) i’m looking to sell this data to anyone who’s interested
2) i’m happy to share SOME of the data to anyone volunteering to develop some tools on it (it can be data visualization, simple stats, or HFT algos)
PM me if any interest.